High-Yield Bond Default and Call Risks
用竞争风险模型研究高收益债券的违约和赎回行为，发现违约率随债龄先升后降，赎回率先升后平，且经济状况和利率预期对两者有不同影响。
This paper empirically investigates high-yield bond default and call behavior using a competing risks hazard model that simultaneously estimates the impact of bond age, issue-specific characteristics and business conditions on both events. Results reveal nonmonotonic aging effects: default rates increase and then drop while call rates first increase and then level off. Rating and coupon size affect default risk, while maturity and issue size impact only call rates. Defaults are more likely when economic conditions have worsened and no improvement is anticipated. Calls are more likely when interest rates have decreased but are expected to rise. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology